This is something I briefly struggled with. I did find a guide that explained it well, but forgot to bookmark it. Now there’s a very straightforward guide on the O’Reilly Network that does a similarly good job of explaining it:
Getting Your Bluetooth Headset to Work in XP by Wei-Meng Lee—With Bluetooth support built into SP2, getting a Bluetooth headset to work should be a breeze. But it ain’t necessarily so. Wei-Meng Lee shows you how to do it.
I’ve actually given up on this setup for the moment, reverting back to a traditional wired headset – although I love the concept of Bluetooth, there are still too many random quirks in most of the implementations. My main reason for ditching it though was the sound quality when used with VoIP – pretty much everyone I called with it complained of echo. I’m not sure if this was down to the quality of headset (Plantronics M3000, so should have been pretty good), my adaptor (generic Class 1 USB from a computer fair) or the combination of bluetooth + VoIP. All I know is that this echo was not present with the wired headset. When I gather the different components together again (the headset was borrowed, and I’ve since lent out the adapter) I’ll give it another try.